Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
DOI10.1016/J.EJOR.2012.04.004zbMath1253.91186OpenAlexW2031298242MaRDI QIDQ1926916
Wuyi Ye, Xiaoquan Liu, Baiqi Miao
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.004
risk managementtail dependencefinancial contagioncredit crunchchange point testsArchimedean copula functions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
Related Items (12)
Cites Work
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- A simple general approach to inference about the tail of a distribution
- An introduction to copulas. Properties and applications
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